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Is public information really public? The role of newspapers

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  • Riccardo Ferretti
  • Francesco Pattarin

Abstract

Our paper offers evidence that printed media can affect stock prices by covering public news (nonevents) even without resorting to spin or emphasis. However, the price reaction is limited to small caps, suggesting that small investors still obtain public information mainly through newspapers. The absence of spin or emphasis is the core element that differentiates our study from existing evidence, making it unique, to the best of our knowledge, in the financial literature on the media and asset pricing.

Suggested Citation

  • Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0008, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    • Handle: RePEc:mod:wcefin:0008
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    More about this item

    Keywords

    nonevent; market efficiency; small investors’ trading; small caps;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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